public void TradeBarParseDoesNotScaleOptionsWithNonEquityUnderlying()
{
var factory = new TradeBar();
var underlying = Symbol.CreateFuture("ES", QuantConnect.Market.CME, new DateTime(2021, 3, 19));
var optionSymbol = Symbol.CreateOption(
underlying,
QuantConnect.Market.CME,
OptionStyle.American,
OptionRight.Put,
4200m,
SecurityIdentifier.DefaultDate);
var config = new SubscriptionDataConfig(
typeof(TradeBar),
optionSymbol,
Resolution.Minute,
TimeZones.Chicago,
TimeZones.Chicago,
true,
false,
false,
false,
TickType.Trade,
true,
DataNormalizationMode.Raw);
var tradeLine = "40560000,1.0,1.5,1.0,1.5,90.0";
using var memoryStream = new MemoryStream(Encoding.UTF8.GetBytes(tradeLine));
using var stream = new StreamReader(memoryStream);
var unscaledTradeBarFromLine = (TradeBar)factory.Reader(config, tradeLine, new DateTime(2020, 9, 22), false);
var unscaledTradeBarFromStream = (TradeBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false);
Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledTradeBarFromLine.EndTime);
Assert.AreEqual(optionSymbol, unscaledTradeBarFromLine.Symbol);
Assert.AreEqual(1m, unscaledTradeBarFromLine.Open);
Assert.AreEqual(1.5m, unscaledTradeBarFromLine.High);
Assert.AreEqual(1m, unscaledTradeBarFromLine.Low);
Assert.AreEqual(1.5m, unscaledTradeBarFromLine.Close);
Assert.AreEqual(90m, unscaledTradeBarFromLine.Volume);
Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledTradeBarFromStream.EndTime);
Assert.AreEqual(optionSymbol, unscaledTradeBarFromStream.Symbol);
Assert.AreEqual(1m, unscaledTradeBarFromStream.Open);
Assert.AreEqual(1.5m, unscaledTradeBarFromStream.High);
Assert.AreEqual(1m, unscaledTradeBarFromStream.Low);
Assert.AreEqual(1.5m, unscaledTradeBarFromStream.Close);
Assert.AreEqual(90m, unscaledTradeBarFromStream.Volume);
}
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
ReaderLine = line;
var bar = new TradeBar();
return(bar.Reader(config, line, date, isLiveMode));
}
public void TradeBarIndexLowResolutionParsing(Resolution resolution, string tradeLine)
{
var factory = new TradeBar();
var symbol = Symbols.CreateIndexSymbol("VIX");
var entry = MarketHoursDatabase.FromDataFolder()
.GetEntry(symbol.ID.Market, symbol, symbol.SecurityType);
var config = new SubscriptionDataConfig(
typeof(TradeBar),
symbol,
resolution,
entry.DataTimeZone,
entry.ExchangeHours.TimeZone,
true,
false,
false,
false,
TickType.Trade,
true,
DataNormalizationMode.Raw);
using var memoryStream = new MemoryStream(Encoding.UTF8.GetBytes(tradeLine));
using var stream = new StreamReader(memoryStream);
var fromLine = (TradeBar)factory.Reader(config, tradeLine, new DateTime(2020, 9, 22), false);
var fromStream = (TradeBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false);
var expectedEndTime = new DateTime(2020, 9, 22, 12, 0, 0);
if (resolution == Resolution.Daily)
{
expectedEndTime = expectedEndTime.AddHours(-expectedEndTime.Hour);
}
Assert.AreEqual(expectedEndTime, fromLine.EndTime);
Assert.AreEqual(symbol, fromLine.Symbol);
Assert.AreEqual(21.04m, fromLine.Open);
Assert.AreEqual(21.44m, fromLine.High);
Assert.AreEqual(20.4m, fromLine.Low);
Assert.AreEqual(21.24m, fromLine.Close);
Assert.AreEqual(0m, fromLine.Volume);
Assert.AreEqual(expectedEndTime, fromStream.EndTime);
Assert.AreEqual(symbol, fromLine.Symbol);
Assert.AreEqual(21.04m, fromLine.Open);
Assert.AreEqual(21.44m, fromLine.High);
Assert.AreEqual(20.4m, fromLine.Low);
Assert.AreEqual(21.24m, fromLine.Close);
Assert.AreEqual(0m, fromLine.Volume);
}
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
var dataPoint = _factory.Reader(config, line, date, isLiveMode);
if (SingleDate)
{
// single day
dataPoint.Time = date;
}
return(dataPoint);
}
